This article is from the 2006 series of SMBZ and is no longer canon.
The Death Egg was a space station created by Doctor Eggman. It floated around Mobius, where Eggman "hatched" his evil plots. This is where the Metal Sonic bots were held.
It was destroyed by Mecha Sonic after he merged with the other Sonic robots and blew it up. It eventually landed in Mobius, causing an explosion to black out the sun.
Ater the Chaos Emeralds and Mecha Sonic disappeard to the Mushroom Kingdom, Sonic and Shadow returned to the wreckage of the station and found the main room intact. They discovered a transporter that can be used to teleport to the Mushroom Kingdom. After building it, Shadow used Chaos Control to warp to the Mushroom Kingdom.